MFC Main thread only focus on Dialog, need to deal with the data received from server

MFC Main thread only focus on Dialog, need to deal with the data received
from server

My code will receive xml data from server, the data quite huge. after
finishing receiving the xml data from sever, my code want to continue to
parse the xml data, however, I have no idea why the thread focus on the
dialog to receive message from system to paint or do something else... NO
WAY TO go back to the parsing code. however, if i close the dialog, it
will go back the parsing code automatically?
what is the problem? please help me.....